Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0639
Annualized Std Dev 0.2683
Annualized Sharpe (Rf=0%) 0.2382

Row

Daily Return Statistics

Close
Observations 5166.0000
NAs 1.0000
Minimum -0.1347
Quartile 1 -0.0074
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0086
Maximum 0.1294
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0169
Skewness -0.3229
Kurtosis 6.8115

Downside Risk

Close
Semi Deviation 0.0123
Gain Deviation 0.0116
Loss Deviation 0.0130
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.6813
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0405
Modified VaR (95%) -0.0266
Modified ES (95%) -0.0490
From Trough To Depth Length To Trough Recovery
2008-06-19 2009-03-02 2017-02-21 -0.6813 2184 176 2008
2018-01-29 2020-03-23 2020-11-09 -0.4481 702 541 161
2001-05-22 2002-10-09 2003-12-04 -0.3251 635 344 291
2006-05-10 2006-06-13 2007-01-31 -0.1768 183 24 159
2000-09-07 2000-09-27 2000-12-04 -0.1734 51 11 40

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA 1.6 2 -0.2 2 -1.4 4 -1 7.2
2001 0.5 -1.1 0.4 -0.3 -0.4 1.5 -0.5 1.2 -2.8 2 1.3 0.2 2
2002 -0.2 1.3 -1 0.7 0.9 -0.5 -0.1 1.3 6 2.5 1.5 0.4 13.4
2003 0.9 0.2 0.4 -0.8 1.8 0 -0.9 -0.2 1.7 -0.3 2.8 0 5.6
2004 1 1.4 0.4 -0.3 0.2 -1.9 -0.4 0.2 0.6 0.2 1.2 -0.1 2.5
2005 0.9 -0.2 -0.1 2 1.8 0 -0.2 0.3 0.8 0.4 1.8 -0.8 7
2006 0.3 1.3 -0.4 1.2 1.3 0.8 -0.9 1 -0.6 -1.1 -0.7 -0.7 1.6
2007 0.9 -0.8 -0.1 -0.7 1.3 0.6 -0.2 1.3 1.5 -3.4 0.7 -0.7 0.3
2008 2.6 -3.6 2 -0.8 1.2 -1 -2.8 -1 -2 1.4 -10.6 2 -12.6
2009 -4.1 -0.5 3.8 1.6 4.3 0 1.9 -2.8 -4.3 -3.9 1.5 -1.1 -3.9
2010 4.6 2.1 1.9 -2.1 -3.8 -0.6 0.7 3.4 1.5 0.2 2.7 0.1 11
2011 2.8 -2 0.2 0.6 -3 1 -0.1 -1.6 -3.6 -3 -0.6 0.1 -9
2012 1.3 0.9 0.3 0.7 -2 3 -0.1 1.2 0.5 2.5 0.1 2.2 10.9
2013 1.3 -0.4 -1.4 -2.1 -1.2 0.9 0.6 -0.3 0.4 -0.1 0 0.3 -2
2014 -0.5 0.3 0.7 -0.5 -0.2 0.2 0.1 0.2 -2.5 1.9 -1.1 -1 -2.3
2015 -0.2 -0.2 0 1.7 -0.1 0.2 -0.4 -3.5 0.8 0.1 0.6 -0.7 -1.7
2016 0.2 2.5 0.8 -0.5 0.4 0.3 -0.3 0.4 0.8 -0.6 -0.1 -0.8 3.2
2017 0.5 1.9 -0.1 -0.1 1.2 0.5 0.3 0.6 -0.1 0.8 -0.6 -0.3 4.8
2018 -1.2 -0.6 2 -0.4 1.4 0.3 -1.1 -0.1 0.9 3.1 0.5 0.8 5.6
2019 0.6 -0.2 1.6 -1.9 -1.5 0.6 -1 0.8 -2.3 1.8 -0.4 0.7 -1.4
2020 -2.3 -1.1 -4.6 -2.1 0.7 -0.2 0.3 2.5 -1.4 -0.1 1.3 0.2 -6.7
2021 1.4 2.6 -0.3 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-06-20  35   SPY    148. -0.0036   0.0023   0.0483  -0.0084   0.107        NA       NA <NA>     NA    NA       NA
2 2000-06-22  34.6 SPY    146. -0.015   -0.0171   0.0553  -0.0451   0.103        NA       NA <NA>     NA    NA       NA
3 2000-06-23  34.2 SPY    144. -0.0086  -0.0151   0.0294  -0.0598   0.0962       NA       NA <NA>     NA    NA       NA
4 2000-06-27  34.8 SPY    145. -0.0074  -0.0188   0.0519  -0.0391   0.0787       NA       NA <NA>     NA    NA       NA
5 2000-07-03  33.9 SPY    147.  0.0138   0.0072  -0.0038  -0.0262   0.0567       NA       NA <NA>     NA    NA       NA
6 2000-07-14  35.6 SPY    151.  0.0098   0.0213   0.023    0.0485   0.0665       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart